• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제26권4호
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• pp.296-309
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• 2022

Timer options are one of the contingent claims that, for given the variance budget, its payoff depends on a random maturity in terms of the realized variance unlike the standard European vanilla option with a fixed time maturity. Since it was first launched by Société Générale Corporate and Investment Banking in 2007, the valuation of the timer options under several stochastic environment for the volatility has been conducted by many researches. In this study, we propose the pricing of timer power options combined with standard timer options and the index of the power to the underlying asset for the investors to actualize lower risks and higher returns at the same time under the uncertain markets. By using the asymptotic analysis, we obtain the first-order approximation of timer power options. Moreover, we demonstrate that our solution has been derived accurately by comparing it with the solution from the Monte-Carlo method. Finally, we analyze the impact of the stochastic volatility with regards to various parameters on the timer power options numerically.

• 대한수학회지
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• 제47권4호
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• pp.789-804
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• 2010

We here investigate an existence and uniqueness of the nontrivial, nonnegative solution of a nonlinear ordinary differential equation: $$[\mid(w^m)]'\mid^{p-2}(w^m)']'\;+\;{\beta}rw'\;+\;{\alpha}w\;+\;(w^q)'\;=\;0$$ satisfying a specific decay rate: $lim_{r\rightarrow\infty}\;r^{\alpha/\beta}w(r)$ = 0 with $\alpha$ := (p - 1)/[pd-(m+1)(p-1)] and $\beta$:= [q-m(p-1)]/[pd-(m+1)(p-1)]. Here m(p-1) > 1 and m(p - 1) < q < (m+1)(p-1). Such a solution arises naturally when we study a very singular solution for a doubly degenerate equation with nonlinear convection: $$u_t\;=\;[\mid(u^m)_x\mid^{p-2}(u^m)_x]_x\;+\;(u^q)x$$ defined on the half line.

• 한국산학기술학회논문지
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• 제12권8호
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• pp.3374-3383
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• 2011

본 연구는 유한한 크기의 선저경사각을 갖는 2차원 쐐기형 구조물의 슬래밍 충격 현상을 수치 해석하였다. 비압축성 유체를 가정하였으며, 구조물의 입수 속도는 일정하게 유지하였다. 자유수면의 대 변형 및 동적 거동의 해석을 위해서 Geo-reconstruct(or PLIC-VOF) scheme을 사용하였다. 선저경사각이 $10^{\circ}$, $20^{\circ}$ 및 $30^{\circ}$인 경우에 대해서 해석을 수행하였으며, 각각의 선저경사각에 대하여 입수면의 격자 크기 및 입수 속도를 변화시켜 슬래밍 충격력 수치 해석 결과에 미치는 영향을 조사하였다. 수치해석 결과는 Dobrovol'skaya(1969)의 상사해(similarity solution), Wagner 방법에 기초한 점근해(asymptotic solution) 및 경계요소법(Zhao et al.(1993))에 의한 해석 결과와 비교하였다.

• Journal of applied mathematics & informatics
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• 제25권1_2호
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• pp.231-244
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• 2007

In this paper, we use measure theory for considering asymptotically stable of an autonomous system [1] of first order nonlinear ordinary differential equations(ODE's). First, we define a nonlinear infinite-horizon optimal control problem related to the ODE. Then, by a suitable change of variable, we transform the problem to a finite-horizon nonlinear optimal control problem. Then, the problem is modified into one consisting of the minimization of a linear functional over a set of positive Radon measures. The optimal measure is approximated by a finite combination of atomic measures and the problem converted to a finite-dimensional linear programming problem. The solution to this linear programming problem is used to find a piecewise-constant control, and by using the approximated control signals, we obtain the approximate trajectories and the error functional related to it. Finally the approximated trajectories and error functional is used to for considering asymptotically stable of the original problem.

• Journal of Mechanical Science and Technology
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• 제14권1호
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• pp.39-47
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• 2000

Bifurcation intability modes of axially compressed circular cylindrical shell are investigated in the limit of zero thickness (i.e., h (thickness) ${\rightarrow}$ 0) analytically, adopting the general stability theory developed by Triantafyllidis and Kwon (1987) and Kwon (1992). The primary state of the shell is obtained in a closed form using the asymptotic technique, and then the straight-forward bifurcation analysis is followed according to the general stability theory to obtain the bifurcation modes in the limit of zero thickness in a full analytical manner. Hence, the closed form bifurcation solution is obtained. Finally, the result is compared with the classical one.

• Journal of applied mathematics & informatics
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• 제32권1_2호
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• pp.39-53
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• 2014

In this paper, a non-asymptotic method is presented for solving singularly perturbed delay differential equations whose solution exhibits a boundary layer behavior. The second order singularly perturbed delay differential equation is replaced by an asymptotically equivalent first order neutral type delay differential equation. Then, Simpson's integration formula and linear interpolation are employed to get three term recurrence relation which is solved easily by Discrete Invariant Imbedding Algorithm. Some numerical examples are given to validate the computational efficiency of the proposed numerical scheme for various values of the delay and perturbation parameters.

• Journal of applied mathematics & informatics
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• 제29권5_6호
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• pp.1081-1096
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• 2011

In this paper, a steady axisymmetric MHD flow of two dimensional incompressible fluids is studied under the influence of a uniform transverse magnetic field. The governing equations are reduced to nonlinear boundary value problem by applying the integribility conditions. Optimal Homotopy Asymptotic Method (OHAM) is applied to obtain solution of reduced fourth order nonlinear boundary value problem. For comparison, the same problem is also solved by Variational Iteration Method (VIM).

• 대한수학회논문집
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• 제35권1호
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• pp.301-319
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• 2020

In this paper, we show that the system of difference equations $x_n={\frac{ay^p_{n-1}+b(x_{n-2}y_{n-1})^{p-1}}{cy_{n-1}+dx^{p-1}_{n-2}}}$, $y_n={\frac{{\alpha}x^p_{n-1}+{\beta}(y_{n-2}x_{n-1})^{p-1}}{{\gamma}x_{n-1}+{\delta}y^{p-1}_{n-2}}}$, n ∈ ℕ₀ where the parameters a, b, c, d, α, β, γ, δ, p and the initial values x-2, x-1, y-2, y-1 are real numbers, can be solved. Also, by using obtained formulas, we study the asymptotic behaviour of well-defined solutions of aforementioned system and describe the forbidden set of the initial values. Our obtained results significantly extend and develop some recent results in the literature.

• 대한전자공학회논문지
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• 제25권8호
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• pp.884-892
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• 1988

An asymptotic solution of electromagnetic waves scattered by an arbitrary-angled dielectric wedge in the E-polarized plane wave incidence is obtained by adding a correction to the physical optical fields given in the previous paper of these companion papers, Part I. The source for the asymptotic correction field valid in the far-field region can be equivalent to the multipole line sources at the tip of the wedge, of which coefficients are evaluated numerically by solving a dual series equation. The corrected field patterns are plotted for the typical case treated in Part I.

• 한국CDE학회논문집
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• 제8권4호
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• pp.262-269
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• 2003

An approach to compute characteristic curves such as section curves, reflection characteristic lines, and asymptotic curves on a surface is introduced. Each problem is formulated as a surface-plane inter-section problem. A single-valued function that represents the characteristics of a problem constructs a property surface on parametric space. Using a contouring algorithm, the property surface is intersected with a horizontal plane. The solution of the intersection yields a series of points which are mapped into object space to become characteristic curves. The approach proposed in this paper eliminates the use of traditional searching methods or non-linear differential equation solvers. Since the contouring algorithm has been known to be very robust and rapid, most of the problems are solved efficiently in realtime for the purpose of visualization. This approach can be extended to any geometric problem, if used with an appropriate formulation.